Arguably the most powerful creatures in the WH40k universe are called Perpetuals - they are basically immortal, because they either rapidly regenerate their wounds or immediately reincarnate.
Possibly the most famous example is Vulkan, who was shot, tossed out of airlock, thrown into the exhaust of a rocket engine and finally fell down from the stratosphere without parachute, just (to the annoyance of Konrad Curze) to "get better" in a matter of minutes.
Now apparently he received this trait from his father, the Emperor of Mankind. But has the Emperor ever been (even briefly) killed to prove that he is indeed perpetual?
He has been alive (more or less) more almost 50 thousand years (he was "born" about 8000 BC) and he is the most powerful psyker that ever existed, but that is still not a real proof: Eldar, Primarchs and even regular Marines can have very long life and can have inhuman regeneration skills but are not immortal.